Some Algorithms for the Conditional Mean Vector and Covariance Matrix
We consider here the problem of computing the mean vector and covariance matrix for a conditional normal distribution, considering especially a sequence of problems where the conditioning variables are changing. The sweep operator provides one simple general approach that is easy to implement and up...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2006-08-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v16/i08/paper |
| _version_ | 1811202404115283968 |
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| author | John F. Monahan |
| author_facet | John F. Monahan |
| author_sort | John F. Monahan |
| collection | DOAJ |
| description | We consider here the problem of computing the mean vector and covariance matrix for a conditional normal distribution, considering especially a sequence of problems where the conditioning variables are changing. The sweep operator provides one simple general approach that is easy to implement and update. A second, more goal-oriented general method avoids explicit computation of the vector and matrix, while enabling easy evaluation of the conditional density for likelihood computation or easy generation from the conditional distribution. The covariance structure that arises from the special case of an ARMA(p, q) time series can be exploited for substantial improvements in computational efficiency. |
| first_indexed | 2024-04-12T02:37:52Z |
| format | Article |
| id | doaj.art-8da4654c2cad404b98ae26e316125bcd |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-04-12T02:37:52Z |
| publishDate | 2006-08-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-8da4654c2cad404b98ae26e316125bcd2022-12-22T03:51:26ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602006-08-01168Some Algorithms for the Conditional Mean Vector and Covariance MatrixJohn F. MonahanWe consider here the problem of computing the mean vector and covariance matrix for a conditional normal distribution, considering especially a sequence of problems where the conditioning variables are changing. The sweep operator provides one simple general approach that is easy to implement and update. A second, more goal-oriented general method avoids explicit computation of the vector and matrix, while enabling easy evaluation of the conditional density for likelihood computation or easy generation from the conditional distribution. The covariance structure that arises from the special case of an ARMA(p, q) time series can be exploited for substantial improvements in computational efficiency.http://www.jstatsoft.org/v16/i08/paperconditional distributionsweep operatorARMA process |
| spellingShingle | John F. Monahan Some Algorithms for the Conditional Mean Vector and Covariance Matrix Journal of Statistical Software conditional distribution sweep operator ARMA process |
| title | Some Algorithms for the Conditional Mean Vector and Covariance Matrix |
| title_full | Some Algorithms for the Conditional Mean Vector and Covariance Matrix |
| title_fullStr | Some Algorithms for the Conditional Mean Vector and Covariance Matrix |
| title_full_unstemmed | Some Algorithms for the Conditional Mean Vector and Covariance Matrix |
| title_short | Some Algorithms for the Conditional Mean Vector and Covariance Matrix |
| title_sort | some algorithms for the conditional mean vector and covariance matrix |
| topic | conditional distribution sweep operator ARMA process |
| url | http://www.jstatsoft.org/v16/i08/paper |
| work_keys_str_mv | AT johnfmonahan somealgorithmsfortheconditionalmeanvectorandcovariancematrix |